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Volatility Dynamics Under Dura...
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Maheu, John M.
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OLC EcoSci
RePEc
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133
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8
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5
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1
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1
News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns
Maheu, John M.
;
Mccurdy, Thomas H.
- In:
The journal of finance : the journal of the American …
59
(
2004
)
2
,
pp. 755-794
Persistent link: https://www.econbiz.de/10006551775
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2
Forecasting realized volatility: a Bayesian model-averaging approach
Liu, Chun
;
Maheu, John M.
- In:
Journal of applied econometrics
24
(
2009
)
5
,
pp. 709-734
Persistent link: https://www.econbiz.de/10008275186
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3
How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution?
Maheu, John M.
;
McCurdy, Thomas H.
- In:
Journal of business & economic statistics : JBES ; a …
27
(
2009
)
1
,
pp. 95-112
Persistent link: https://www.econbiz.de/10008169727
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4
Do high-frequency measures of volatility improve forecasts of return distributions?
Maheu, John M.
;
McCurdy, Thomas H.
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 69-77
Persistent link: https://www.econbiz.de/10008770553
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5
Bayesian semiparametric stochastic volatility modeling
Jensen, Mark J.
;
Maheu, John M.
- In:
Journal of econometrics
157
(
2010
)
2
,
pp. 306-317
Persistent link: https://www.econbiz.de/10008433400
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6
The 2001 JBES Invited Paper - Conditional Jump Dynamics in Stock Market Returns
Chan, Wing H.
;
Maheu, John M.
- In:
Journal of business & economic statistics : JBES ; a …
20
(
2002
)
3
,
pp. 377-389
Persistent link: https://www.econbiz.de/10008216265
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7
Journal of Business & Economic Statistics - Identifying Bull and Bear Markets in Stock Returns
Maheu, John M.
;
McCurdy, Thomas H.
- In:
Journal of business & economic statistics : JBES ; a …
18
(
2000
)
1
,
pp. 100-112
Persistent link: https://www.econbiz.de/10008217985
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8
Bayesian semiparametric multivariate GARCH modeling
Jensen, Mark J.
;
Maheu, John M.
- In:
Journal of econometrics
176
(
2013
)
1
,
pp. 3-17
Persistent link: https://www.econbiz.de/10010131790
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9
Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models
Burda, Martin
;
Maheu, John M.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
17
(
2013
)
4
,
pp. 345-372
Persistent link: https://www.econbiz.de/10010185639
Saved in:
10
Do jumps contribute to the dynamics of the equity premium?
Maheu, John M.
;
McCurdy, Thomas H.
;
Zhao, Xiaofei
- In:
Journal of financial economics
110
(
2013
)
2
,
pp. 457-477
Persistent link: https://www.econbiz.de/10010186208
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